Annex 1 - Eiopa 'risk assessment - covid-19 questionnaire' for the insurance sector

• Author: European Insurance and Occupational Pensions Authority (EU body or agency)
• Pages: 53-61

ANNEX 1- EIOPA ‘RISK ASSESSMENT- COVID-19

QUESTIONNAIRE’ FOR THE INSURANCE SECTOR

The purpose of the “EIOPA ‘Risk assessment- COVID-19 questionnaire” for the insurance sector was to allow EIOPA to

identify, where possible, potential key risks and challenges in the current situation of Covid-19 shock. This report benef‌it-

ed from the replies from 29 EU/EEA NCAs and the UK during May 2020. The replies from this questionnaire were used

to feed this report as well as the EIOPA Financial Stability report, so not all the responses are discussed here. In this con-

text, the table below presents the content of the questionnaire and highlights in yellow the answers used in this report.

At in the current situation of Covid-19 shock

Please provide your assessment on th e following

key risks and challenges in the current situation of

Covid-19 shock. Please do als o provide the addition-

al information in columns G. Add additio nal risk

under item 7 if deemed necessar y.

In the current

situation

of Covid-19

shock, how

would you

assess the

materiality of

the risk in your

jurisdiction?

How would

you assess the

risk mitiga-

tion measures

taken by

insurance

companies in

the context

of the current

situation of

Covid-19?

Over the next

6 months, do

you expect

changes in the

materiality of

the risk?

Please provide further

comments on your

risk assessment,

including ashort de-

scription, additional

manifestations of the

risk in your local mar-

ket, and possible risk

mitigation strategies

by insurance under-

takings/supervisors.

1 Credit risks, interlinkages & imbalances

Concentration to domestic sovereign

Exposure to sectors negatively aec ted by

Covid-19 (NACE code: transport (H), tourism

and hospitality (N79 + I), automotive (C29) and

oil & gas (B6 & B9.1)

Exposure to banks (NACE codes: K64.1 .9 &

K64.9. 2)

Exposure to other f‌inancial institutions (NACE

code K, except banks)

Exposure to reinsurance (Counterpart y risk)

Exposure to derivatives (SII market value)

2 Liquidity & funding risks

Liquidity of the asset portfolio

Liquidity of investments funds

Adequacy of cash holdings

Lapse risk

Funding conditions (i.e. high cost of debt, low

maturity and high leverage)

Variation margins on derivatives and repurchase

agreements

IMPACT OF ULTRA LOW YIEL DS ON THE INSURANCE SEC TOR, INCLUDING FIRST EFF ECTS OF COVID CRISIS

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